又见久期行情极致演绎。 中债 10 年以上隐含评级 AA+全价指数近一周涨幅达到 0.9%，月内累计涨幅高达 1.5%。另一方面，交易所超长信用债 表现亦不俗，中证信用债 7 年至 10 年 AAA 等级指数周度涨幅在 0.43%。 本轮超长信用债如何被炒作？ 首先从银行间样本来观察，有四点特征：1）抢配节奏显著加快，成交收益下行幅度加大，2）20 年至 30 年活跃交易 信用债主体，银行间存量券 6 月单月平均涨幅在 2%至 3%之间，3）5 年 AA+城投债策略在最近两周持续跑赢其他组合， 4）成交量进一步印证炒作逻辑。其次，交易所抢配信用债同样强劲，值得注意的是，本轮行情有交易所超长信用债联 动银行间个券的特征。 两个市场，行情触发点不同。 截至 6 月 20 日，1 年以上信用债 63%存量规模集中在 2%以下，而 1 月初水平约在 59%，要在 2%以上做收益，势必要在 中长久期资产布局。银行间和交易所同时演绎久期行情，逻辑是否一致？一方面，从银行间 7 年以上信用债净买入交 易对手来看，保险和基金是主力。其中，基金近两周净买入规模持续增长，单周读数超过 73 亿，超过保险的边际增 量。另一方面，交 ...

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - In the context of a volatile bond market and a passive widening of credit spreads, investors should prioritize high - coupon assets for certain returns and prepare in advance for the spread compression market driven by the seasonal inflow of wealth management funds in July [1][5]. - The current core contradiction in the credit bond market is the co - existence of weakening allocation demand and a passive widening of spreads in a volatile environment. Investors should seize pricing deviation opportunities under the protection of coupon safety cushions [5]. - The volatile market pattern caused by the interplay of multiple factors will continue, providing tactical opportunities for layout during market adjustments [6]. - The coupon strategy is the optimal solution in a volatile market, and portfolios should be constructed in a stratified manner according to the characteristics of liabilities [7]. - Investors should "pre - position" for the seasonal spread compression market in July and seize structural opportunities in specific bond varieties [8]. 3. Summary by Relevant Catalog 3.1 Yield and Spread Overview 3.1.1 Yields and Changes of Each Tenor - Yields of various types of bonds at different tenors are presented, along with their weekly changes and historical percentiles. For example, the 0.5 - year Treasury yield is 1.41%, down 4.0bp from last week, with a historical percentile of 8.4% [14]. 3.1.2 Spreads and Changes of Each Tenor - Credit spreads of various types of bonds at different tenors are shown, including their weekly changes and historical percentiles. For instance, the 0.5 - year credit spread of public non - perpetual urban investment bonds is 25bp, up 2.1bp from last week, with a historical percentile of 12.7% [16]. 3.2 Yields and Spreads of Credit Bonds by Category (Hermite Algorithm) 3.2.1 Yields and Spreads of Urban Investment Bonds by Region - **Yields and Changes of Each Tenor**: Yields of public non - perpetual urban investment bonds in different provinces at key tenors, their weekly changes, and historical percentiles are provided. For example, the 0.5 - year yield of Anhui's public non - perpetual urban investment bonds is 1.77%, up 2.6bp from last week, with a historical percentile of 1.1% [19]. - **Spreads and Changes of Each Tenor**: Credit spreads of public non - perpetual urban investment bonds in different provinces at key tenors, their weekly changes, and historical percentiles are given. For example, the 0.5 - year credit spread of Anhui's public non - perpetual urban investment bonds is 30.41bp, up 4.6bp from last week, with a historical percentile of 7.2% [22]. - **Yields and Changes of Each Implied Rating**: Yields of public non - perpetual urban investment bonds in different provinces for each implied rating, their weekly changes, and historical percentiles are presented. For example, the AAA - rated yield of Anhui's public non - perpetual urban investment bonds is 1.80%, up 3.8bp from last week, with a historical percentile of 5.1% [26]. - **Spreads and Changes of Each Implied Rating**: Credit spreads of public non - perpetual urban investment bonds in different provinces for each implied rating, their weekly changes, and historical percentiles are shown. For example, the AAA - rated credit spread of Anhui's public non - perpetual urban investment bonds is 28.96bp, up 4.8bp from last week, with a historical percentile of 32.2% [31]. - **Yields and Changes of Each Administrative Level**: Yields of public non - perpetual urban investment bonds in different provinces at each administrative level, their weekly changes, and historical percentiles are provided. For example, the provincial - level yield of Anhui's public non - perpetual urban investment bonds is 1.80%, up 3.5bp from last week, with a historical percentile of 3.7% [35].

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Viewpoints of the Report - In the current bond market, short - term credit bond yield decline and spread narrowing space are limited. Traders can wait for a better position after market adjustment to participate in the game, and currently focus on certain coupon opportunities and consider allocation from the perspective of absolute yield [3][27] - Different investment strategies should be adopted according to the stability of the liability side. For those with weak liability - side stability, focus on 2 - 3y medium - and low - grade varieties and some 4 - 5y high - coupon, medium - quality individual bonds; for those with strong liability - side stability, allocate 4 - 5y varieties [3][4][27] Group 3: Summary by Relevant Catalogs I. How to Allocate Credit Bonds after a Significant Narrowing of Spreads (1) Credit Bond Market Review - This week, the capital price was low at first and then high. The Sino - US economic and trade joint statement significantly reduced bilateral tax rates, boosting risk appetite. Under the stock - bond seesaw effect, the bond market was under pressure. Interest - rate bond yields rose across the board, while credit bond yields showed a differentiated trend and performed better than interest - rate bonds. Bank secondary and perpetual bonds with significantly narrowed spreads performed weakly, with yields rising slightly and spreads narrowing passively. The yields of other credit varieties generally declined for 1 - 4y and rose for 5 - 15y, with spreads narrowing significantly for 1 - 4y and passively narrowing for 5 - 15y, with a smaller narrowing amplitude at the long end [1][11] (2) Credit Strategy: Focus on Certain Coupon Opportunities - **Current Credit Spread Level**: 1 - 2y variety spreads have been compressed to an extreme level, while the medium - and long - term spreads still have some room compared to last year's lowest point. In a volatile bond market environment, the further compression space of credit spreads may be relatively limited [14][24] - **Current Credit Bond Yield Level**: Currently, the yields of various credit varieties can generally achieve positive carry. Different varieties have different yield levels compared to R007 [25] II. Key Policies and Hot Events - On May 15th, the General Office of the Communist Party of China Central Committee issued the "Opinions on Continuously Promoting Urban Renewal Actions", which mentioned improving diversified investment and financing methods and encouraging financial institutions to participate in urban renewal [33] - On May 15th, Vanke announced that its major shareholder, Shenzhen Metro Group, would provide a loan of up to 1.552 billion yuan to the company to repay the principal and interest of bonds issued in the public market [33] - On May 13th, seven departments jointly issued policies to include high - quality enterprise science and technology innovation bonds in the benchmark market - making varieties to improve their liquidity [34] III. Secondary Market - This week, credit bond yields showed a differentiated trend, and credit spreads generally narrowed. Different types of bonds, such as urban investment bonds, real - estate bonds, cyclical bonds, and financial bonds, had different yield and spread changes [36][37] IV. Primary Market - This week, the issuance scale of credit bonds was 122.3 billion yuan, a decrease of 47.5 billion yuan compared to the previous week, and the net financing amount was - 15.7 billion yuan, a decrease of 19.7 billion yuan compared to the previous week. The issuance scale of urban investment bonds was 30.2 billion yuan, a decrease of 50.9 billion yuan compared to the previous week, and the net financing amount was - 24.6 billion yuan, a decrease of 5.4 billion yuan compared to the previous week [6] V. Trading Liquidity - This week, the trading activity in the inter - bank market and the exchange market of credit bonds increased. The trading volume in the inter - bank market increased from 432 billion yuan last week to 550.1 billion yuan, and the trading volume in the exchange market increased from 234.1 billion yuan last week to 336.2 billion yuan [6] VI. Rating Adjustment - This week, there were 2 entities with downgraded ratings and 3 entities with upgraded ratings [6]

从资金净流入方面来看，信用债ETF基金近3天获得连续资金净流入，最高单日获得1.30亿元净流入，合计"吸金"2.80亿元，日均净流入达9345.09万元。 费率方面，信用债ETF基金管理费率为0.15%，托管费率为0.05%，费率在可比基金中最低。 跟踪精度方面，截至2025年5月15日，信用债ETF基金近1月跟踪误差为0.005%，在可比基金中跟踪精度较高。 分析人士对5月资金利率持乐观态度。申万宏源证券债券首席分析师表示，降准释放长期流动性叠加人民币汇率企稳，短期资金利率中枢回落至政策利率附 近。5月并非信贷高峰期，市场流动性需求下降，预计短端资金利率仍有望低位运行。 信用债ETF基金（511200）紧密跟踪上证基准做市公司债指数，整体呈现中短久期特征，利率风险相对较低。中短债久期相对较低，利率变化带来的价格波 动相对较小，比较契合稳健风格投资需求。同时在利率下行背景下，也有机会捕捉无风险利率下行及利差压缩带来的资本利得。 截至2025年5月16日10:45，信用债ETF基金(511200)多空胶着，最新报价100.39元。 流动性方面，信用债ETF基金盘中换手106.41%，成交45.73亿元，市场交投 ...

中短债打开上涨空间，但配置行为克制。 为应对全球经济不确定性及贸易局势紧张，央行"推出一揽子货币政策措施，主要有三大类共十项措施"，双降时点 意外前置。票息类资产反应迟滞，给做陡收益率曲线提供机会，2 年内信用债成交收益下行幅度均在 5bp 以上，该期 限大行二级资本债收益下行幅度更是接近 10bp。收益下了不少，可买入力度有点克制。一方面，尽管 3 年内一般信用 债成交收益低于估值收益的幅度有扩张，但无论产业债，还是城投债，都不及 4 月上旬的表现。另一方面，不仅是价 格上没有充分体现抢配两字，成交笔数是一体两面。相互印证的是，一般信用债的周度换手率也在往下掉，即便是 3 年内城投债都难以幸免，仅银行次级债维持了较高的活跃度。抢配场景为何难现？首先，中短债收益逼近年内低点， 做多空间相当尴尬。其次，久期太短，收益增厚策略受限。 接下来，会迈向信用债拉久期吗？ 信用债久期策略同样在尴尬期，一是上述交易偏离、换手率等指标，并没有展现出拉信用债久期的意愿，二是收益来 源切换及增量资金逻辑的制约。首先，对于收益来源切换而言，与绝对利率水平过低有关。实际上，目前存量信用债 （不含地产债）进一步朝着 1 月初的水平迈进 ...

证券研究报告 | 金融工程 gszqdatemark 2025 02 20 年 月 日 量化专题报告 利用多资产生息策略穿越资产周期——多策略矩阵系列之一 探索"多资产多策略"的第二步：策略配置。低风险溢价和低利率环境是 当下绝对收益策略的两大核心挑战，对低风险溢价资产的改造是所有以绝 对收益为目标的投资者无法回避的难题。传统意义上基于自上而下的赔率 -胜率框架对大类资产进行"资产配置"是可行解但并非唯一解，本篇报告 尝试探索一种自下而上的绝对收益方案，弱化资产择时，强调策略配置。 生息策略的有效性逻辑。生息策略长期有效的底层逻辑在于：市场往往高 估了资本利得的下行风险，而低估了生息收益的补偿能力，这种错误定价 为生息策略提供了长期的超额收益来源。进一步的，全球范围内多个大类 资产的实证表明：通过做多高生息收益的组合、做空低生息收益的组合， 生息策略能在多个大类资产中均实现了长期稳定的正收益。 权益生息：股息+净回购。对比中美股市的生息收益，A 股生息收益率为 2.4%，美股生息收益率为 3.0%，两者主要缺口来自于净回购率，净回购 是当前 A 股提升股东回报的关键所在。基于生息逻辑设计的股东回报组合 年化收 ...